It is more accurate to say that XM talks directly to HBIOS serial ports. By default, this is the HBIOS console. The HBIOS console is determined at boot and is not changed when you redirect using CP/M.
If you want to try using the dev branch of RomWBW, XM has been enhanced to allow specifying any of the HBIOS serial ports on the command line. You just append the number of the character unit to the action letter. So, for example, you could use XM R2 <filename> to receive a file from character unit 2 (the third serial port).
-Wayne